An Advanced EMA Trend Following Strategy with Relaxed RSI and ATR Filters

This is an EMA trend following strategy incorporating RSI and ATR filters, aiming to capture long term trends. It utilizes fast and slow EMA crossovers along with a long term EMA trend filter, relaxed RSI…

Pine ScriptTrend following Breakout Mean reversion RSI EMA ATR

Author: ChaoZhang
Complexity: Starter · 59 lines
Parameters: 5
Backtest bar: 1h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Strategy Logic

Long when fast EMA (20) crosses above slow EMA (50)
Short when fast EMA crosses below slow EMA
Only trade in the direction of long term trend judged by 200 EMA
Require RSI to be relatively oversold for longs and overbought for shorts
Use ATR to detect consolidation zones to avoid false breakouts

Advantages

EMA crossover system effective for trend following
Additional long term filter avoids trading counter trend
Relaxed RSI thresholds reduce missed profitable trends
ATR filter helps navigate choppy consolidation periods

Risks

Can underperform in strongly trending bull markets
Whipsaws possible with EMA crossovers during consolidation
RSI and ATR parameters need individual optimization per instrument

Enhancements

Optimize EMA lengths for different instruments
Fine tune RSI and ATR parameters to improve consolidation detection
Consider adding profit taking via trailing stops

Conclusion

Overall an effective system for long term trend following across various instruments. Optimization of parameters combined with prudent risk management can lead to positive results, especially in persistent bull market environments. The incorporation of auxiliary indicators like RSI and ATR make this an advanced EMA trend system.

Parameters

Name	Default	What it controls
v_input_1	20	Short EMA
v_input_2	50	Long EMA
v_input_3	200	Trend EMA
v_input_4	14	RSI Length
v_input_5	14	ATR Length

Source Pine Script

/*backtest
start: 2024-01-29 00:00:00
end: 2024-02-28 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("EMA Strategy with Trend Filter", overlay=true)

// Параметры EMA
shortEmaLength = input(20, title="Short EMA")
longEmaLength = input(50, title="Long EMA")
trendEmaLength = input(200, title="Trend EMA")
shortEma = ta.ema(close, shortEmaLength)
longEma = ta.ema(close, longEmaLength)
trendEma = ta.ema(close, trendEmaLength)

// Параметры RSI
rsiLength = input(14, title="RSI Length")
rsi = ta.rsi(close, rsiLength)

// Параметры ATR
atrLength = input(14, title="ATR Length")
atr = ta.atr(atrLength)

// Логика для сигналов покупки и продажи с фильтром по тренду
buySignal = ta.crossover(shortEma, longEma) and close > trendEma
sellSignal = ta.crossunder(shortEma, longEma) and close < trendEma

// Вход в сделки
if (buySignal)
    strategy.entry("Buy", strategy.long)

if (sellSignal)
    strategy.entry("Sell", strategy.short)

// Выход из сделок на основе EMA пересечений
exitBuySignal = ta.crossunder(shortEma, longEma)
exitSellSignal = ta.crossover(shortEma, longEma)

if (exitBuySignal)
    strategy.close("Buy")

if (exitSellSignal)
    strategy.close("Sell")

// Визуализация EMA
plot(shortEma, color=color.blue, title="Short EMA")
plot(longEma, color=color.red, title="Long EMA")
plot(trendEma, color=color.green, title="Trend EMA")

// Отдельная панель для RSI и его визуализация
plot(rsi, title="RSI", color=color.purple, linewidth=2)

// Отдельная панель для ATR и его визуализация
plot(atr, title="ATR", color=color.orange, linewidth=2)

Published by ChaoZhang on the FMZ strategy square · last modified 2024-02-29. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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